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波动溢出效应,即一个子系统中的波动达到或超过了一定的程度,产生的波动不再是对整个系统无很大影响的小波动,而其显现出来的影响会迅速蔓延,造成整个系统的大震荡。为了进一步分析重大冲击对系统关联性是否存在影响,本文采用了基于Copula模型的检测方法,对冲击前后模型的相关性进行检测,并实证检验了由子系统A造成的重大冲击对子系统B,子系统C,子系统D的关联性特征。通过结果显示,我们可以看出冲击前后,所检测的不同子系统之间,最佳拟合模型类别或参数发生了改变,验证了重大冲击的产生会对系统关联性存在相应的影响。
Fluctuation spillover effect, that is, fluctuations in a subsystem reach or exceed a certain level, the resulting fluctuations are no longer small fluctuations that do not have a significant impact on the overall system, and the effects that appear are rapidly spreading, causing the entire system Big shock In order to further analyze whether the impact of major impact on the relevance of the system, this paper uses a detection method based on Copula model to test the correlation between the model before and after impact and empirically test the impact of a major impact caused by subsystem A on subsystem B, child System C, Subsystem D relevance characteristics. The results show that, before and after the impact, we can see that the best fitting model category or parameter has changed between the different subsystems tested, which verifies that the impact of the major impact will have a corresponding effect on the system relevance.